We test the pricing of the conditional systematic risk (β) of IML, a traded liquidity factor of the return premium on illiquid-minus-liquid stocks, with its risk premium varying over time. We find a positive and significant risk premium on conditional β_IML, which rises in times of financial distress, measured by the corporate bond yield spread or broker–dealer loans (including margin loans). The conditional β_IML remains significantly priced across individual stocks after controlling for the unconditional and conditional βs of the Fama-French and Carhart factors, as well as some common liquidity-based factors.

中文翻译：

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具有时变溢价的非流动性因子条件风险的定价

我们测试了IML的条件系统风险 ( β )的定价，它是非流动性减流动性股票回报溢价的交易流动性因子，其风险溢价随时间而变化。我们发现有条件β _{IML 的}风险溢价为正且显着，在财务困境时会上升，以公司债券收益率利差或经纪自营商贷款（包括保证金贷款）衡量。在控制了 Fama-French 和 Carhart 因素的无条件和条件β s 以及一些常见的基于流动性的因素后，条件β _IML仍然在个股中显着定价。